Based on a result on continuous dependence of solutions of an algebraic Riccati equation on the data matrices, we construct continuous curves of solutions of an algebraic Riccati inequality, and derive suboptimal Markovian estimates for the steady-state smoothing problem.
Suboptimal Markovian smoothing estimates based on continuous curves of solutions of the Algebraic Riccati Equation
PAVON, MICHELE;
2002
Abstract
Based on a result on continuous dependence of solutions of an algebraic Riccati equation on the data matrices, we construct continuous curves of solutions of an algebraic Riccati inequality, and derive suboptimal Markovian estimates for the steady-state smoothing problem.
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